Screening Filters
monthly_average_dollar_volume ≥ 1,000,000
- Purpose: Focus on liquid US stocks that can actually make big moves and be tradable without huge slippage.
- Rationale:
- “Top movers” that matter to most traders are usually in names with solid trading activity.
- A minimum of $1M in average daily dollar volume filters out illiquid, micro-cap names where prices can jump just because of a few small trades, which are harder to enter/exit at fair prices.
- This keeps the list to stocks where significant institutional and retail participation is present, making any move more meaningful and actionable.
one_day_predict_return between 2% and 100% (2 to 100)
- Purpose: Identify stocks that models expect to move up significantly in the next session.
- Rationale:
- “Top movers tomorrow” implies a focus on names with an unusually high expected one-day return.
- A minimum threshold of +2% screens out low-volatility names that are unlikely to be standout movers in a single day.
- Capping at 100% just bounds the prediction range and removes extreme outliers or data errors.
- This filter directly aligns with your request by targeting stocks where the forecasted next-day price change is materially higher than normal.
option_iv_rank ≥ 30
- Purpose: Capture stocks where the options market is pricing in relatively elevated volatility versus their own history.
- Rationale:
- Implied Volatility (IV) rank compares current IV to its past range; IV rank ≥ 30 means current IV is at least in the upper 30% of its historical range.
- Higher IV rank suggests the market anticipates larger-than-usual price swings—exactly the kind of behavior you’d expect from “top movers.”
- By using the options market’s expectations, this filter adds a second, independent signal of potential big movement (beyond price-based forecasts).
Why Results Match Your Question
- The liquidity filter (dollar volume) ensures the candidates are real, tradable US stocks where moves are meaningful and executable.
- The one-day predicted return filter directly targets stocks expected to have large positive moves tomorrow, matching your time frame and “top mover” intent.
- The IV rank filter uses the options market’s pricing to further narrow the list to names where traders are already bracing for outsized moves.
Together, these filters narrow the universe to liquid US stocks with both elevated model-predicted next-day returns and unusually high implied volatility, making them strong candidates for being among the market’s biggest movers tomorrow.
This list is generated based on data from one or more third party data providers. It is provided for informational purposes only by Intellectia.AI, and is not investment advice or a recommendation. Intellectia does not make any warranty or guarantee relating to the accuracy, timeliness or completeness of any third-party information, and the provision of this information does not constitute a recommendation.